Credit contracting between a lender with a market power and a small start-up entrepreneur may lead to a rejection of … be eliminated by a government support in the form of credit guarantees or subsidies. The principal-agent model of this …

regulators use to judge whether individual institutions are meeting the credit and service needs of low- and moderate-income (LMI …

movements in default probabilities and default correlations. Our findings have important implications for portfolio credit risk … analysis. First, a static analysis of portfolio credit risk can underestimate credit risk significantly by not accounting for … actual credit risk experiment, addressing the issue of pro-cyclicality in ratings and capital buffer formation. It turns out …

We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk. The model … decouple across secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral …

calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward …

Traditional methods for evaluating corporate credit risk rarely consider the impact of the macro economy on corporate …